Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0326 |
| Annualized Std Dev | 0.2469 |
| Annualized Sharpe (Rf=0%) | -0.1321 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3463.0000 |
| NAs | 1.0000 |
| Minimum | -0.1261 |
| Quartile 1 | -0.0065 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1234 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0156 |
| Skewness | -0.5830 |
| Kurtosis | 8.1252 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0105 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.7282 |
| Historical VaR (95%) | -0.0241 |
| Historical ES (95%) | -0.0392 |
| Modified VaR (95%) | -0.0255 |
| Modified ES (95%) | -0.0528 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.7282 | 3369 | 339 | NA |
| 2007-07-20 | 2007-08-16 | 2007-10-29 | -0.1668 | 71 | 20 | 51 |
| 2007-06-22 | 2007-06-27 | 2007-07-02 | -0.0182 | 7 | 4 | 3 |
| 2007-07-10 | 2007-07-10 | 2007-07-12 | -0.0136 | 3 | 1 | 2 |
| 2007-10-30 | 2007-10-30 | 2007-10-31 | -0.0128 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | -0.5 | -1.9 | 2.3 | 1.5 | -2.5 | 0.4 | -1.3 | -2.2 |
| 2008 | 2.7 | -4.3 | 1.8 | 0.7 | 1.1 | -1.9 | -1 | 0 | 0.1 | 2.7 | -8.2 | 3.2 | -3.6 |
| 2009 | -1.5 | 1.1 | 1.3 | 2.6 | 4.3 | 1.8 | 1.2 | -2.8 | -2.9 | -3.8 | 3 | -0.3 | 3.8 |
| 2010 | 2 | 0.8 | 1.6 | -1.1 | -1.8 | 1.1 | 0.1 | 3.8 | 0.9 | 0.1 | 2.5 | 0.6 | 10.9 |
| 2011 | 2.4 | -1.9 | 0.9 | 0.1 | -2.3 | 0.7 | -1 | -1.2 | -3 | -3.6 | -0.9 | 0.1 | -9.3 |
| 2012 | 1.2 | 1.4 | 1 | 0.8 | -2.1 | 3.7 | 0.1 | 1.4 | 0.7 | 0.6 | 0.2 | 1.9 | 11.2 |
| 2013 | 1.2 | -0.1 | -0.6 | -0.8 | -2.5 | 0.3 | 0.6 | -0.7 | 0.6 | -0.4 | -0.1 | 0.3 | -2.2 |
| 2014 | -1.5 | 0.5 | 0.5 | -0.2 | 0 | 0.7 | -0.6 | -0.2 | -1 | 0.7 | -0.7 | -0.9 | -2.6 |
| 2015 | -1.1 | 0.3 | 0.2 | 0.6 | -0.8 | 0.3 | 0.1 | -3 | 0.4 | 0.2 | 1.3 | -0.9 | -2.6 |
| 2016 | 0.1 | 2.7 | -0.8 | 0.1 | -0.4 | 0.5 | -1.2 | 0.5 | 0.9 | -0.1 | 0.5 | -0.3 | 2.4 |
| 2017 | 0.2 | 0.8 | 0.4 | 0.4 | 0.9 | -0.1 | 0.4 | 0.3 | 0.6 | 0 | 0 | 0.1 | 4.2 |
| 2018 | 0.7 | -0.6 | 0.4 | 0 | 0.2 | 0.3 | -0.8 | -0.9 | 0 | 1.5 | -0.5 | 0.3 | 0.4 |
| 2019 | 0.1 | 0.4 | 0.9 | -0.6 | -0.5 | 0.1 | -0.2 | 0.3 | -0.7 | 0.7 | -0.7 | 0.5 | 0.3 |
| 2020 | -1.2 | -1.1 | -4.7 | -2.9 | 2.8 | 0.6 | -1.6 | -0.2 | 0.4 | 0 | 2 | -0.9 | -6.8 |
| 2021 | 1.2 | 1.9 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
